Between teaching, working with staff, tutoring, and building a freelance career

Saturday, May 19, 2007

Saturday Link Dump

Now that the summer's in full swing, it's time to empty out the old Bloglines account and do a link dump. I've been letting things build up, so this is a good opportunity to clean it out while SAS chews through the overly-large data set I'm torturing. So, without further ado, here are some links for your avoidance-behavior use:

Investingand MarketsCXO Advisory Group has posted some interesting pieces lately. In one, they report on a study by David Blitz and Pim van Vliet titled The Volatility Effect: Lower Risk without Lower Return. The study finds evidence that investors overpay for the most volatile stocks (i.e. they underperform on a risk-adjusted basis).

And finally, they discuss work by Ben Marshall, Rochester Cahan and Jared Cahan titled Does Intraday Technical Analysis in the U.S. Equity Market Have Value?. Their answer seems to be a pretty resounding "no" - they use some pretty rigorous statistically analysis (bootstrapping tests) to examine some 7,846 trading rules from five rule families (Filter, Moving Average, Support and Resistance, Channel Breakouts, and On-Balance Volume). They find that (after adjusting for what's called "data snooping bias") that none of the rules are profitable.

AcademiaCraig Newmark links to a great paper on student evaluations. It's specifically geared towards law school, but it's pretty generalizable, and has a lot of citations to prior work on factors that seem to drive evaluations.